First of all, being anime there's time constraint so many side things were removed (like Female Knight telling the students who she is and their reaction)
While it's true manga also does a bit of this on other characters, with manga there's always the option to give them the spotlight for a few chapter later, but in anime that cause a main-character shift which throw the audience off.
And characters with little development (like, say, female knight, not talking about only her chest btw) aren't as interesting to follows.
Which is why I believe the anime pretty much try to give the spotlight to the character with the most development:
Demon Queen
and
MAID ANE
The latter might be a bit of a surprise to some, but compare to Demon Queen's (in manga) development of working to change the world and have to face the ancient grudge of the demons, maid ane's development are much more human.
-She was born a serf, which is a bit better than slave but can very much be considered similar in lack of freedom.
-She found a supporter (Maou), a teacher (Head Maid) and make acquaintances with people in her life.
But all the while, there's still that words from her teacher that stick to her mind (questioning whether she's reach the point of being 'human')
-Then when she have to impersonate Maou during her absence, she get put into trial as heretic against the church.
-The speech from her heart about what she is, what she want to be, and why she will not yield said wish regardless of what pain it may brings. (which is one of the few moments I shed tears, that chapter was awesome)
